For me, the simplest list (on my computer) is to use Notational Velocity, and to create my own flickr or del.icio.us style tags. I try to create one-line to-dos, and then in the body add whatever tags seem appropriate (in the oil example above, I might add: car, gas station, shopping, errands). Having NV stretched to full height on my iBook G4 gives me about 30 lines of list and three or four of body available.

As soon as I type in, say, errands, I see a filtered list of anything that includes that word. This way I can view my list as a single list (and manage it as a single list), but have my contexts, too.